Perancangan Portofolio Saham Optimal pada Indeks IDX BUMN20 Menggunakan Pendekatan Two-Stage Fuzzy Multi-Objective Linear Programming

Natalia, Monica Putri (2026) Perancangan Portofolio Saham Optimal pada Indeks IDX BUMN20 Menggunakan Pendekatan Two-Stage Fuzzy Multi-Objective Linear Programming. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Tingginya volatilitas pasar saham Indonesia meningkatkan risiko investasi dan ketidakpastian imbal hasil, sehingga diperlukan strategi pembentukan portofolio yang mampu menyeimbangkan expected return, risiko, dan likuiditas secara simultan. Penelitian ini bertujuan merancang portofolio saham optimal pada indeks IDX BUMN20, yaitu portofolio yang memberikan kombinasi terbaik antara imbal hasil yang maksimal, risiko yang terkendali, dan likuiditas yang memadai dalam kondisi ketidakpastian. Metode yang digunakan meliputi K-Means Clustering untuk seleksi emiten berbasis rasio keuangan, serta Two-Stage Fuzzy Multi-Objective Linear Programming (FMOLP) dengan operator max-min Zimmermann yang diintegrasikan dengan VIKOR untuk menentukan solusi kompromi terbaik. Hasil penelitian menunjukkan bahwa skenario batas investasi 0,40 merupakan solusi optimal dengan nilai indeks VIKOR terkecil (0,1837), menghasilkan komposisi ANTM 27,86%, ELSA 36,24%, dan PGAS 35,90%, dengan expected return 3,27% dan risiko 0,4303. Evaluasi menggunakan Indeks Sharpe menunjukkan nilai sebesar 0,0653 pada skenario optimal, yang menandakan portofolio mampu menghasilkan excess return terhadap risiko. Pendekatan ini direkomendasikan sebagai strategi investasi yang lebih komprehensif karena mengintegrasikan aspek return, risiko, dan likuiditas secara simultan.
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High volatility in the Indonesian stock market increases investment risk and return uncertainty, necessitating a portfolio construction strategy that simultaneously balances expected return, risk, and market liquidity. This study aims to design an optimal stock portfolio within the IDX BUMN20 index, defined as a portfolio that provides the best combination of maximum return, controlled risk, and adequate liquidity under uncertainty. The methodology integrates K-Means Clustering for financial ratio–based stock selection and a Two-Stage Fuzzy Multi-Objective Linear Programming (FMOLP) model using the max–min Zimmermann operator, combined with the VIKOR method to determine the best compromise solution. The results indicate that the 0.40 investment limit scenario is the optimal solution with the smallest VIKOR index (Q = 0.1837), producing a portfolio composition of 27.86% ANTM, 36.24% ELSA, and 35.90% PGAS, with an expected return of 3.27% and a risk level of 0.4303. The Sharpe Ratio of 0.0653 confirms positive excess return per unit of risk. This approach is recommended as a comprehensive investment strategy integrating return, risk, and liquidity simultaneously.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	IDX BUMN20, Diversifikasi Portofolio, FMOLP, VIKOR, Indeks Sharpe, IDX BUMN20, Portfolio Diversification, FMOLP, VIKOR, Sharpe Index
Subjects:	Q Science > QA Mathematics > QA278.55 Cluster analysis Q Science > QA Mathematics > QA39.3 Fuzzy mathematics Q Science > QA Mathematics > QA401 Mathematical models. Q Science > QA Mathematics > QA9.64 Fuzzy logic
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Monica Putri Natalia
Date Deposited:	11 Jun 2026 01:18
Last Modified:	11 Jun 2026 01:18
URI:	http://repository.its.ac.id/id/eprint/133708

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